F versus t tests for unit roots
نویسندگان
چکیده
F tests which test jointly for a unit root and a zero intercept, and so compete against Dickey−Fuller t tests, are shown not to enhance power because they are invariant to the intercept value in the absence of a unit root. Monte Carlo results in the literature that indicate otherwise are shown to have resulted from the use of special starting values. Testing procedures that employ these F tests to enhance power should be revised. Citation: Elder, John and Peter E. Kennedy, (2001) "F versus t tests for unit roots." Economics Bulletin, Vol. 3, No. 3 pp. 1−6 Submitted: January 25, 2001. Accepted: May 4, 2001. URL: http://www.economicsbulletin.com/2001/volume3/EB−01C10001A.pdf
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